Good and bad self-excitation : asymmetric self-exciting jumps in Bitcoin returns
Chuanhai Zhang, Zhengjun Zhang, Mengyu Xu, Zhe Peng
| Year of publication: |
2023
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|---|---|
| Authors: | Zhang, Chuanhai ; Zhang, Zhengjun ; Xu, Mengyu ; Peng, Zhe |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 119.2023, p. 1-13
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| Subject: | Bitcoin | Asymmetric effects | bad jumps | Good jumps | High frequency data | Self-excitation | Volatilität | Volatility | Kapitaleinkommen | Capital income | Virtuelle Währung | Virtual currency | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2022.106124 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014249483